We examine the asymptotic properties of IV, GMM or MLE to estimate dynamic panel data models when either N or T or both are large. We show that the Anderson and Hsiao (1981, 1982) simple instrumental variable estimator (IV) or maximizing the likelihood function with initial value distribution...

The instrumental variable model is one of the central tools for the analysis of causal relationships in observational data. The Anderson and Rubin (1949) test is an important method that allows for reliable inference in the instrumental variable model when the instruments are weak. Yet, the...

The literature on heteroskedasticity and autocorrelation robust (HAR) inference is extensive but its usefulness relies on stationarity of the relevant process, say Vt, usually a function of the data and estimated model residuals. Yet, a large body of work shows widespread evidence of various...

This paper considers the problem of deriving heteroskedasticity and autocorrelation robust (HAR) inference about a scalar parameter of interest. The main assumption is that there is a known upper bound on the degree of persistence in data. I derive finite‐sample optimal tests in the Gaussian...

Probit models with endogenous regressors are commonly used models in economics and other social sciences. Yet, the robustness properties of parametric estimators in these models have not been formally studied. In this paper, we derive the influence functions of the endogenous probit model’s...

In this paper, we investigate what can be learned about average counterfactual outcomes when it is assumed that treatment response functions are smooth. The smoothness conditions in this paper amount to assuming that the differences in average counterfactual outcomes are bounded under different...

Centralized school assignment algorithms must distinguish between applicants with the same preferences and priorities. This is done with randomly assigned lottery numbers, nonlottery tie-breakers like test scores, or both. The New York City public high school match illustrates the latter, using...

In this paper, we investigate what can be learned about average counterfactual outcomes as well as average treatment effects when it is assumed that treatment response functions are smooth. We obtain a set of new partial identification results for both the average treatment response and the...

Swamy et al. (2015) argue that valid instruments cannot exist when a structural model is misspecified. This note shows that this is not true in general. In simple examples valid instruments can exist and can help to estimate parameters of interest.

Log-linear and log-log regressions are one of the most used statistical models. However, handling zeros in the dependent and independent variable has remained obscure despite the prevalence of the situation. In this paper, we discuss how to deal with this issue. We show that using Pseudo-Poisson...